Is it possible to make Blender prompt to save on exit?
Yes, (But only on MS-Windows) open User Preferences and look under Interface, you should see a checkbox with Prompt Quit beside it.



Additionally, or preferably you can use CtrlAlt + U to save it and make it load with your other defaults.

About Macs:

Closing the app with CmdQ invokes the save prompt. Quitting with CmdW doesn't. (possible bug?)
The only indication that you haven't saved is the 'dot' in the red, close-window  button, top left of the window.